Published on 8/29/2019 in the Prospect News Structured Products Daily.
New Issue: Citigroup prices $8.77 million trigger contingent yield notes linked to three indexes
By Angela McDaniels
Tacoma, Wash., Aug. 29 – Citigroup Global Markets Holdings Inc. priced $8.77 million of trigger callable contingent yield notes with daily coupon observation due Sept. 1, 2022 linked to the least performing of the S&P 500 index, the Russell 2000 index and the Euro Stoxx 50 index, according to a 424B2 filing with the Securities and Exchange Commission.
Each quarter, the notes pay a contingent coupon if each index’s closing level remains at or above its coupon barrier level, 70% of its initial level, on each day during that quarter. The contingent coupon rate is 10.3% per year.
The notes are callable at par of $10 on each quarterly observation date other than the final one.
If the notes are not called and each index finishes at or above its downside threshold, 60% of its initial level, the payout at maturity will be par. Otherwise, investors will lose 1% for every 1% that the least-performing index’s final level is below its initial level.
The notes are guaranteed by Citigroup Inc.
Citigroup Global Markets Inc. is the underwriter. UBS Financial Services Inc. is acting as agent.
| Issuer: | Citigroup Global Markets Holdings Inc.
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| Guarantor: | Citigroup Inc.
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| Issue: | Trigger callable contingent yield notes with daily coupon observation
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| Underlying indexes: | Russell 2000, S&P 500 and Euro Stoxx 50
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| Amount: | $8.77 million
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| Maturity: | Sept. 1, 2022
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| Coupon: | 10.3% per year, payable quarterly if each index closes at or above coupon barrier level on each day during that quarter
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| Price: | Par of $10
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| Payout at maturity: | If each index finishes at or above downside threshold, par; otherwise, 1% loss for every 1% that least-performing index’s final level is below initial level
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| Call option: | At par on each quarterly observation date other than final one
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|
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| Initial levels: | 2,869.16 for S&P 500, 1,456.039 for Russell 2000 and 3,370.47 for Euro Stoxx 50
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| Coupon barriers: | 2,008.412 for S&P 500, 1,019.227 for Russell 2000 and 2,359.329 for Euro Stoxx 50, or 70% of initial levels
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| Downside thresholds: | 1,721.496 for S&P 500, 873.623 for Russell 2000 and 2,022.282 for Euro Stoxx 50, or 60% of initial levels
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| Pricing date: | Aug. 27
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| Settlement date: | Aug. 30
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| Underwriter: | Citigroup Global Markets Inc.
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| Agent: | UBS Financial Services Inc.
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| Fees: | 1%
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| Cusip: | 17327P666
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